Liquidity Pricing, Stock Returns, and the Contrarian Strategy: Evidence from Japanese Listed Firms

2009 ◽  
Author(s):  
Hitoshi Takehara ◽  
Keiichi Kubota
Keyword(s):  
Stock Returns ◽  
Listed Firms ◽  
Contrarian Strategy ◽  
Liquidity Pricing

scholarly journals French Firms and COVID-19: Do the Debt Status, Crisis Management System, and Monetary Policy Play a Role?

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Mina Sami
Keyword(s):  
Monetary Policy ◽  
Stock Returns ◽  
Crisis Management ◽  
Management System ◽  
Daily Growth ◽  
Listed Firms ◽  
Study Results ◽  
Major Outbreak

Abstract This study has two main objectives: first, it assesses the effect of outbreak pandemic diseases on the French firms’ stock returns by considering the sector of activity as the main center of analysis. Second, it investigates the role of the crisis management system, firm debt strategy, and monetary policy in dealing with the adverse shocks of the major outbreak of the COVID-19. The study results can be summarized as follows: (1) the daily growth in COVID-19 cases and deaths are associated with lower stock returns of the listed firms, especially for the firms operating in the energy, industrial and health care sectors. In contrast, telecommunication and consumer sectors are not significantly affected. (2) The pandemic’s adverse effect is much more tolerant with the French firms with an efficient crisis management system and low long-term debt commitments than the firms that do not have such a system and engaged with long term debts. (3) Euribor rates and monetary policy are still playing an essential role during the pandemic period.

Overreaction evidence from large-cap stocks

2014 ◽  
Vol 13 (4) ◽  
pp. 310-325 ◽  
Author(s):  
Tibebe Abebe Assefa ◽  
Omar A. Esqueda ◽  
Emilios C. Galariotis
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Investment Strategy ◽  
Past Performance ◽  
Content Type ◽  
Multifactor Models ◽  
Contrarian Strategy ◽  
Fama And French ◽  
Investment Portfolios ◽  
Three Factor

Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap US stocks. Previous criticisms that losers’ gains are not due to overreaction but due to their tendency to be thinly traded and smaller-sized firms than winners are addressed. Design/methodology/approach – Portfolios based on past performance are constructed and it is examined whether contrarian returns exist. The Capital Asset Pricing Model (CAPM), Fama and French three-factor model and the Carhart’s (1997) momentum portfolio are used to test whether excess returns are feasible in a contrarian strategy. Findings – The results show an asymmetric performance following portfolio formation. Although both, winners and losers portfolios, have gains during holding periods, losers outperform winners at all times, and with a differential of up to 29.2 per cent 36 months after portfolio formation. Furthermore, the loser and the winner portfolios’ alphas are significant, suggesting that the CAPM and the multifactor models are unable to explain return differentials between winners and losers. Our evidence supports two main conclusions. First, stock market overreaction still holds for a sample of large firms. Second, this is robust to the Fama and French’s (1993, 1996) three-factor model and Carhart’s (1997) momentum portfolio. Findings emphasize the relevance of a contrarian strategy when rebalancing investment portfolios. Practical implications – Portfolio managers can improve stock returns by selling past winners and buying previous loser large-cap US stocks. Originality/value – This paper is the first, to the authors’ knowledge, to examine frequently traded large-cap US stocks to avoid infrequent trading and size concerns.

Stock returns and volatility dynamics in China

2015 ◽  
Vol 5 (2) ◽  
pp. 103-131 ◽  
Author(s):  
David G McMillan ◽  
Pornsawan Evans
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Relationship ◽  
World Trade Organisation ◽  
State Ownership ◽  
Lower State ◽  
Firm Level ◽  
Content Type ◽  
Listed Firms

Purpose – The purpose of this paper is to examine the nature of equity ownership of state-owned enterprises (SOEs) for over 2,000 listed firms in China. The paper examines both the pattern of state ownership and the dynamics of stock returns and volatility. Firms under the control of SOEs dominate the Chinese stock markets and currently account for over three-quarters of total market capitalisation. Central SOEs are focused in strategic industries, while Local SOEs concentrate on pillar industries relating to consumer goods and services. Design/methodology/approach – The authors obtain firm-level data from the Shanghai and Shenzhen stock markets and using panel estimation techniques examine the dynamics of returns, volatility and their relationship. Findings – The authors report an increase in state control among listed firms compared to earlier reported figures. This is contradictory to the expectation of a lower state influence following China joining of the World Trade Organisation in 2001. In examining the behaviour of stock returns the authors find evidence of daily and monthly autocorrelations that are larger and of a different sign to that reported for western markets. The authors also report evidence of volatility persistence but little evidence of volatility asymmetry, again in contrast to that often reported for other markets. Finally, the authors find evidence of either no or a negative relationship between returns and volatility (risk) that differs from our usual view of risk aversion. Originality/value – It is hoped, knowledge of these dynamics will increase the understanding of the Chinese equity market, which in turn is important for those engaged in international portfolio management and micro-structure modelling.

Corporate governance, accruals quality and stock returns: evidence from the UK

2014 ◽  
Vol 14 (1) ◽  
pp. 32-44 ◽  
Author(s):  
Sulaiman Mouselli ◽  
Riad Abdulraouf ◽  
Aziz Jaafar
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Information Quality ◽  
Financial Information ◽  
Governance Mechanism ◽  
Content Type ◽  
Listed Firms ◽  
Accruals Quality ◽  
Market Factor

Purpose – This paper aims to identify the most significant governance provision in enhancing the financial information quality of UK listed firms. In addition, it investigates the influence of this governance provision in explaining stock returns of 20 UK industry portfolios. Design/methodology/approach – To identify the main governance provision in enhancing the accruals quality, the paper runs regressions of accruals quality variable on the total governance variable, on the governance provisions individually, and on the governance provisions taken together with and without integrating control variables. Next, Asset Pricing tests are employed to examine the capacity of the audit provision, as proved the most influential governance provision on accruals quality, to explain stock returns. The quantitative approach used in the paper enables to investigate the relationship between corporate governance, accruals quality, and stock returns. Findings – Results indicate that audit provision is the most important governance mechanism affecting accruals quality. In addition, this mechanism is comparable with the book-to-market factor in explaining the time-series variation in portfolios returns. Furthermore, the introduction of the Audit factor to Fama-French model reduces the significance of the size factor and the book-to-market factor in explaining stock returns. This suggests that size and the book-to-market factors contain information related to the audit provision. Research limitations/implications – The findings of the paper carry implications for investors as they do not need to equally weight all corporate governance provisions in their resource allocation decisions. The significant influence of audit provision on accruals quality needs to be taken into consideration when investment decisions are made. Audit factor is important in predicting future returns. It is also found to be as good as book-to-market factor in explaining portfolios returns. Also, the findings have many implications for regulatory bodies in their efforts to enhance financial information quality. Establishing roles for best governance in reducing information risk should focus, among other things, on the significant elements of corporate governance in improving accruals quality. The main limitation of the study is the restricted variation in the Audit governance factor which comes from the source of corporate governance data, i.e. CGQ. Firms in the sample do not exhibit diversified levels of Audit scores. Accordingly, when constructing audit risk factor it was found that firms could only be split into two portfolios according to their Audit scores instead of five. Originality/value – This study identifies audit provision as the most significant governance mechanism in enhancing the financial information quality of UK listed firms. In addition, a factor representing audit provision is constructed to investigate the influence of this provision on stock returns. To the authors' knowledge, this is the first study that examines the capacity of the audit provision to explain stock returns in an asset pricing framework.

scholarly journals Petroleum and Food Sectors Lost Stock Returns against Investments in PSX

2021 ◽  
Vol VI (I) ◽  
pp. 99-111
Author(s):  
Syed Muhammad Ali Tirmizi ◽  
Haider Ali ◽  
Sharif Ullah Jan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Factor Model ◽  
Structural Break ◽  
Unit Root Test ◽  
Listed Firms ◽  
Market Return ◽  
Exchange Rate Exposure ◽  
Petroleum Sector ◽  
The Impact

The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.

scholarly journals THE RELEVANCE OF EXCESS CASH TO EXPLAIN FINANCIAL PERFORMANCE AND STOCK RETURNS IN BRAZILIAN LISTED FIRMS

2018 ◽  
Vol 11 (2) ◽  
pp. 351-369
Author(s):  
Romario Borges Miranda ◽  
Renê Coppe Pimentel ◽  
Francisco Antonio Bezerra
Keyword(s):  
Financial Performance ◽  
Stock Returns ◽  
Listed Firms ◽  
Excess Cash

scholarly journals Busy Boards, Firm Performance and Operating Risk

2020 ◽  
Vol 16 (2) ◽  
pp. 1-21
Author(s):  
Kin-Wai Lee ◽  
Char-Lee Lok
Keyword(s):  
Life Cycle ◽  
Firm Performance ◽  
Stock Returns ◽  
Life Cycle Stage ◽  
Maturity Stage ◽  
Return On Assets ◽  
Listed Firms ◽  
Multiple Directorships ◽  
Operating Risk ◽  
Firm’S Life Cycle

Using a sample of listed firms in Malaysia, Philippines, Singapore and Thailand, this article examines the association between busy board of directors and firm performance. We offer three results. First, we find that firm performance (measured by operating profitability and market-to-book equity) is negatively associated with busy boards. Second, we find that firms with busy boards have higher operating risk (measured by volatility of return on assets, volatility of stock returns and volatility of operating cash flow). Third, we find that the association between firm performance and busy boards is conditional on the firm’s life cycle stage. For firms in the growth stage, busy boards are beneficial to firm performance suggesting that the experience knowledge and reputation accumulated with multiple directorships help busy directors to more effectively advise these firms. In contrast, for firms in the maturity stage of their life cycle, busy boards are detrimental to firm performance suggesting the monitoring role of board is weakened by multiple directorships.

scholarly journals The Impact of Corporate Cultural Behaviour on Common Stock Return: Some Implications for Corporate Governance

2018 ◽  
Vol 80 (1) ◽  
pp. 115-130
Author(s):  
Chamil W. Senarathne
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Common Stock ◽  
Listed Firms ◽  
It Impacts ◽  
Research Questions ◽  
The Impact ◽  
The Relationship

AbstractThis paper examines the relationship between common stock return and corporate cultural behaviour of twenty listed firms from Shanghai Stock Exchange. The particular research questions of this study include: whether corporate cultural behaviour impacts common stock returns and under what conditions it impacts shareholder expectations and corporate governance.

scholarly journals COVID-19 Pandemic, Stimulus Packages and Stock Returns in Vietnam

2021 ◽  
Vol 4 (2) ◽  
Author(s):  
Son T. Vu ◽  
◽  
Tam T. Le ◽  
Chi N. L. Nguyen ◽  
Duong T. Le ◽  
...  
Keyword(s):  
Stock Returns ◽  
Oil And Gas ◽  
Growth Potential ◽  
Economic Downturn ◽  
Average Income ◽  
Economic Sectors ◽  
Listed Firms ◽  
The World ◽  
Fast Moving Consumer Goods ◽  
Daily Stock Returns

This paper investigates the impacts of COVID-19’s new cases and stimulus packages on the daily stock returns of five key economic sectors (Finance, Fast-moving-consumer-goods (FMCG), Healthcare, Oil and Gas, and Telecommunication) in Vietnam – one of the best countries in the world for handling COVID-19. The research team uses the Pool OLS method, with the panel data of 11 342 observations from 107 listed firms in these five sectors in the period January-June 2020. The key findings are (i) all sectors’ stock returns are negatively affected by daily new confirmed cases of COVID-19, the hardest hit is on the financial sector, followed by FMCG, healthcare, oil and gas, and telecommunications sectors. Vietnam did not have many affected cases, but low average income makes investors and consumers more careful and hesitate to spend/invest; (ii) in contrast to prior studies, stimulus packages did not accelerate the growth of stock returns in all sectors, with the order from most to least negatively affected: finance, oil and gas, telecommunication, healthcare, and FMCG. The slow implementation made investors skeptical of the growth potential of firms, they assess the stimulus packages as the signs of economic downturn. This fact leads to different recommendations for the Vietnamese Government in combating COVID-19.

scholarly journals CAPITAL ASSET PRICING MODEL TESTING IN WEST AFRICA ECONOMIC AND MONETARY UNION STOCK MARKET: THE CASE OF IVORIAN LISTED FIRMS

2017 ◽  
Vol 5 (2) ◽  
pp. 23-30
Author(s):  
Zimy Samuel Yannick Gahé ◽  
Zhao Hongzhong ◽  
Brou Matthias Allate ◽  
Thierry Belinga
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Monetary Union ◽  
Economic And Monetary Union ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Listed Firms ◽  
Asset Pricing Model

This paper investigates the validity of Capital Asset Pricing Model (CAPM) for the West African Economic and Monetary Union (WAEMU) stock market using monthly stock returns of twenty Côte d’Ivoire’s listed firms from January 2002 to December 2011. We split this interval into different time periods. Each one of them has also been divided into two different sub-periods among which one served as estimation mean and the second one helped to test the estimated parameters obtained using a times series regression. Afterwards some statistical tests have been conducted to see whether the CAPM’s hypotheses hold or not. The findings showed that higher risk is not associated with higher level of return within the study area. Also, there was no relation between stock return and non-systemic risk except for one period where we found evidence that stock returns were affected by other risk than the systematic risk. On the contrary the stock expected rate of return had a linear relationship with the systematic risk. The study suggested that the listed companies consider other factors and variables which could explain their returns.

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